Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0317
Annualized Std Dev 0.2684
Annualized Sharpe (Rf=0%) 0.1180

Row

Daily Return Statistics

Close
Observations 3522.0000
NAs 1.0000
Minimum -0.1684
Quartile 1 -0.0072
Median 0.0010
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0083
Maximum 0.2110
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0169
Skewness -0.0625
Kurtosis 15.8349

Downside Risk

Close
Semi Deviation 0.0123
Gain Deviation 0.0120
Loss Deviation 0.0134
Downside Deviation (MAR=210%) 0.0167
Downside Deviation (Rf=0%) 0.0121
Downside Deviation (0%) 0.0121
Maximum Drawdown 0.6507
Historical VaR (95%) -0.0250
Historical ES (95%) -0.0406
Modified VaR (95%) -0.0224
Modified ES (95%) -0.0224
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-11-20 2021-01-05 -0.6507 3317 267 3050
2007-07-24 2007-08-16 2007-09-19 -0.1789 41 18 23
2021-02-18 2021-03-08 NA -0.0895 23 13 NA
2021-01-21 2021-01-29 2021-02-05 -0.0502 12 7 5
2007-10-19 2007-10-19 2007-10-26 -0.0411 6 1 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA 0.6 0.3 1.5 -0.9 -1 3 2.6 -3.2 1 -0.5 3.2
2008 2.9 -3.7 2.7 1.6 0.2 -1.6 -0.8 -0.9 0.9 1.3 -6.5 1.3 -2.9
2009 -0.4 -2.8 3.5 2.4 4.7 1.4 0.8 -1.2 -2.2 -4.7 2.5 0.1 3.7
2010 2.1 1.9 1.8 -1.2 -2 0.7 0.1 2.9 1.6 0.5 2.4 0.5 11.9
2011 2.1 -0.5 1.1 0.6 -1.6 1.1 -0.1 0.2 -3 -2.7 -0.4 0 -3.3
2012 1.6 0.4 0.8 1.3 -2.7 4.2 0.2 1 0.7 1.6 0.2 1.6 11.4
2013 0.7 0.3 -0.5 -0.8 -1.9 0.7 1.8 0.8 1.7 -0.1 1 0.8 4.5
2014 0 -0.5 0.8 0.3 -1.3 0.5 0.2 0 -1.4 0.7 -1.7 -0.1 -2.4
2015 -2.8 0.1 1.4 0.3 0 -0.3 0.7 -3.9 0.3 -0.1 0.9 0.2 -3.3
2016 -0.5 3.1 0.5 0.2 0.1 0.8 -0.1 0.6 0.2 -1.1 -0.9 -0.6 2.2
2017 0.4 1.4 -1 0.5 0.7 0.6 0.7 0.6 1 0.2 -0.8 0.3 4.9
2018 -0.8 -0.1 1.8 -0.3 1.3 2 -0.5 0.5 0 3.5 0 -0.3 7.2
2019 -0.6 0.1 1.4 -0.6 0.4 1.5 -1.9 0.7 -0.6 1.4 -1.1 0.2 0.9
2020 -1.9 -0.7 -3.8 -3.3 2.1 1.1 -0.5 1.8 0.9 -1 2 -0.1 -3.4
2021 2.7 2.6 1 NA NA NA NA NA NA NA NA NA 6.4

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart